Val
  • Member for 10 years, 6 months
  • Last seen more than 10 years ago
How are correlation and cointegration related?
10 votes

Before I try to answer your question we need to establish a difference between what one wants to analyse. It is true that before modern time-series methodologies were developed, researches used "...

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How to estimate the covariance of an index with a basket of stocks?
Accepted answer
3 votes

It sounds like you are referring to measuring correlation and/or cointegration. May I suggest you take a look at another question with several answers. I believe it may include an answer to yours as ...

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How do I estimate convergence in monte carlo methods?
2 votes

Julien, frankly I have no idea what your research question is... Since you are quite vague in formulation your question I can only provide a vague answser... The following academic papers might be ...

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Is there a standard method for getting a continuous time series from futures data?
1 votes

I think the key here is consistency in your analysis. I would use (and do so for my research) the nearby contract(s) - the daily close and roll over on last day of expiry. From my experience this is ...

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Why is volatility mean-reverting?
0 votes

It is not the volatility that mean reverts, but the price! The volatility (attempts to) measure the deviations from the "equilibrium" or the "stable price" (even though we might never observe it). ...

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How to hedge against lack of volatility
-1 votes

Hedging against lack of volatility is per definition a spurious concept. Hedging is done exactly to AVOID volatility. It is obvious that during volatile periods there is much more potential to make ...

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